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Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001
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Country, Sector or Style: What Matters Most When Constructing Global Equity Portfolios? An Empirical Investigation from 1990-2001 (2002)Country, Sector or Style: What Matters Mo…The Rise of Sector Effects in Major Equity Markets (2000)The Rise of Sector Effects in…The Increasing Importance of Industry Factors (2000)The Increasing Importance of …Dispersion as Cross-Sectional Correlation (2000)Dispersion as Cross-Sectional…European Equity Markets and the EMU (1999)European Equity Markets and t…Do Industries Explain Momentum? (1999)Do Industries Explain Momentu…Value versus Growth: The International Evidence (1998)Value versus Growth: The Inte…National versus Global Influences on Equity Returns (1996)National versus Global Influe…Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies (1996)Another Look at the Role of t…The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…The Three Types of Factor Models: A Comparison of Their Explanatory Power (1995)The Three Types of Factor Mod…Industry and Country Effects in International Stock Returns (1995)Industry and Country Effects …Does industrial structure explain the benefits of international diversification? (1994)Does industrial structure exp…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Global factors (1989)Global factorsWhy Not Diversify Internationally Rather Than Domestically? (1974)Why Not Diversify Internation…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Conditional Dependency of Financial Series: The Copula-Garch Model (2003)Conditional Dependency of Fin…Competition between Stock Exchanges: A Survey (2003)Competition between Stock Exc…Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling (2002)Valuation of Sovereign Debt w…Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Price Momentum and Trading Volume (2000)Economic Links and Predictable Returns (2008)Time Series Momentum (2011)Internationally Diversified Portfolios: Welfare Gains and Capital Flows (1968)International Diversification of Investment Portfolios (1970)International Portfolio Choice and Corporation Finance: A Synthesis (1983)Market Integration and Investment Barriers in Emerging Equity Markets (1995)Volatility Spillover Effects in European Equity Markets (2005)Global market integration: An alternative measure and its application☆ (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)An exploratory investigation of the firm size effect (1985)The empirical foundations of the arbitrage pricing theory (1988)A Test for the Number of Factors in an Approximate Factor Model (1993)BYY harmony learning, independent state space, and generalized APT financial analyses (2001)Industry Classifications and Return Comovement (2007)Improving Mean Variance Optimization through Sparse Hedging Restrictions (2015)Market and Industry Factors in Stock Price Behavior (1966)Economic Forces and the Stock Market (1986)The rise in comovement across national stock markets: market integration or IT bubble? (2004)Comovement in international equity markets: A sectoral view (2005)European banking: An overview (2007)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Another look at the role of the industrial structure of markets for international diversification strategies1We are especially grateful to Pat Casey and Virge Cavalli at Dow Jones for providing the Dow Jones World Stock Index data and for their assistance with numerous queries. We gratefully acknowledge the comments of Geert Bekaert, William Brigham, Shane Corwin, Steve Foerster, Jeff Harris, Steve Heston, Ajay Khorana, David Mayers, John Persons, René Stulz, and particularly, the referee (Geert Rouwenhorst) and editor (John Long). We also thank participants at the University of Alberta, University of Toronto and Ohio State University, the 1996 UBC Global Investment Conference (Whistler), 1996 International Finance Conference (Georgia Tech), 1996 Western Finance Association Conference, and 1996 Financial Management Association Conference for helpful suggestions. Karolyi thanks the Dice Center for Financial Economics and the Social Sciences and Humanities Research Council of Canada for financial support.1 (1998)Oil price shocks and industry stock returns (2011)Contagion of the Global Financial Crisis and the real economy: A regional analysis (2014)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)A New Approach to Measuring Financial Contagion (2000)International Liquidity and Exchange Rate Dynamics * (2015)Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium (1994)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Value and Momentum Everywhere (2013)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1998Value versus Growth: The International Evidence2,233 cited
  • 1999Do Industries Explain Momentum?1,770 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 cited
  • 1995The World Price of Foreign Exchange Risk765 cited
  • 1994Does industrial structure explain the benefits of international diversification?746 cited
  • 2000The Increasing Importance of Industry Factors457 cited
  • 2000The Rise of Sector Effects in Major Equity Markets310 cited
  • 1995The Three Types of Factor Models: A Comparison of Their Explanatory Power225 cited
  • 1995Industry and Country Effects in International Stock Returns225 cited
  • 1996Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies194 cited
  • 1989Global factors183 cited
  • 1999European Equity Markets and the EMU172 cited
  • 1996National versus Global Influences on Equity Returns162 cited
  • 2000Dispersion as Cross-Sectional Correlation

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Cited by

  • 2003Conditional Dependency of Financial Series: The Copula-Garch Model32 cited
  • 2003Competition between Stock Exchanges: A Survey27 cited
  • 2002Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling21 cited